Title: Some problems in actuarial finance involving sums of dependant risks
Authors: Goovaerts, Marc ×
Kaas, Robert #
Issue Date: 2002
Series Title: Statistica Neerlandica vol:56 issue:3 (Aug.) pages:253-269
Abstract: A trend in actuarial finance is to combine technical risk with interest risk. If Y-t, t = 1, 2,... denotes the time-value of money (discount factors at time t) and X-t the stochastic payments to be made at time t, the random variable of interest is often the scalar product of these two random vectors V = Sigma X-t Y-t. The vectors (X) over bar and (Y) over bar are supposed to be independent, although in general they have dependent components. The current insurance practice based on the law of large numbers disregards the stochastic financial aspects of insurance. On the other hand, introduction of the variables Y-1, Y-2,... to describe the financial aspects necessitates estimation or knowledge of their distribution function. We investigate some statistical models for problems of insurance and finance, including Risk Based Capital/Value at Risk, Asset Liability Management, the distribution of annuities, cash flow evaluations (in the framework of pension funds, embedded value of a portfolio, Asian options) and provisions for claims incurred, but not reported
ISSN: 0039-0402
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

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